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论文编号：	928
作者编号：	2120071998
上传时间：	2009/5/24 20:25:15
中文题目：	中国上市公司可转债发行公告效应
英文题目：	The announcement effects on is
指导老师：	李莉
中文关键字：	可转换公司债券 公告效应 累积超
英文关键字：	Convertible Bond Announcemen
中文摘要：	可转换债券作为一种可转换证券，是发行人依照法定程序发行的，赋予其持有人在规定时间内按照约定条件将其转换为确定数量股票（绝大多数情况下是发行公司的普通股票）权利的公司债券。可转换债券作为一种混合性衍生金融工具，具有债权和股权双重特性，其筹资和避险的双重功能，受到了投资者的广泛欢迎，成为金融市场不可缺少的重要组成部分。 所谓公告效应(Announcement Effects，有时也被称作Wealth Effects)，一般是指某一经济或者政治事件的公布或发生，对另一事件所带来的影响。在经济学领域，公告效应比较典型地应用在研究资本市场上不同类型的证券发行对普通股票价格的影响上。 关于市场对于上市公司新发行可转债的反应，国内外学者对此进行了相关研究，提出了一些影响力较大的理论，论文对首先对这些理论进行了筛选总结并以我国目前在深沪两市交易的51只可转债为样本，并按照不同的市场特征将其分为两组。首先使用事件研究的方法，研究了发行可转换债券的各个时间窗口的市场反应，发现公司股票的异常收益率全流通前发行可转换债券有负的公告效应，而全流通后我国可转换债券发行的公告效应为正。接着本文结合前文的理论研究和实证分析，得出市场景气程度和Tobin Qi与累积超额收益率显著正相关，DRi与累积超额收益率显著负相关，并通过了5%的显著性检验，但本文并没有得到非流通股所占比例与超额收益率的显著关系。 本文的创新之处在于，将全部可转债样本按照全流通与否和市场景气程度将样本划分为两组。时间上以2006年为界，分别考察2002年至2004年，以及2006年-2008年6月市场上所发行的可转债公告效应。这样的划分可以结合股权分置改革和A股市场的景气程度对我国资本市场的影响，从而更加全面的考察可转债公告效应对市场异常收益的影响。 在论文的最后，我们提出了相关的建议，并分析了研究中足以影响实证结果的限制，并进一步提出了为了相关的研究方向。
英文摘要：	Convertible Bond,which is some kind of convertible securities, is issued conforming to the certain regualations or requirements. It entiles the holder the right to convert it into a amount of shares in certain period. We can defind convertible bond as a mixed derivative financial tool which has some similarities with both shares and other bonds. It works well in both financing or reducing the risk. Nowdays, it is so popular that regarded as an indispensible part of financial market. Announcement Effects,or Wealth Effects referrs the effect imposed by some economic or political events. The tool of Announcement Effects is deemed as more powful to study the issueing affaris of securities in capital market. Regarding the reaction of the issue of refinancing securities, many scholars, both china or not, have great intest to advovate some models or hypothesis. In this paper, firstly we ouline the related theories or hypothesis then we continue the topic using quantitative methods. We choose 51 convertible bonds as our sample ，partionating them into 2 groups,and then analyse them taking avantage of Event Study. Several periods are chose for testing, fousing on CAR(Cumulative Abnormal Returns). Suprisingly, we find that the mean of CAR of the first group is significantly negative. On the contrary, the mean of CAR of the second group is significantly positive. In the paper, we take almost all the variables which may affect the Announcement Effect. Using multiliner regression model, we find that CAR has a strong relationship with Tobin Q or index of the market. While, DR is negatively related with CAR. The innonative achivements of the parper lies in successfully separate the sample into 2 different groups. The first group lasts from 2002-2004, while the second one last from 2006 to June 2008. Then we calculate and test the CAR of the 2 groups separately. The separation is reasonable because only by doing this can we measure the Announcement Effect at different stages more accurately. In the last part of the paper, we ends with the conclusions of quantitative study and also give some suggestions to the stakeholders in the market. Of couse, We also briefly summarize the shortages of the test and the obeject we should aim at in the future.
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